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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,695 papers · 148 categories

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0111 · Sep 202019922001200920172026
2 results for “MCoVaR”
On multivariate contribution measures of systemic risk with applications in cryptocurrency marketq-fin.RM

Paper introduces contribution measures for systemic risk in crypto markets.

problem Evaluating systemic risk and quantifying risk interactions in cryptocurrency markets.
method Develops various contribution ratio measures based on MCoVaR, MCoES, and MMME.
result Establishes sufficient conditions for comparing contribution measures between sets of random vectors.
systemic riskcryptocurrencycontribution measuresMCoVaRMCoES
2024-11-20abs ↗pdf ↗
Dependent Conditional Value-at-Risk for Aggregate Risk Modelsq-fin.RM

Paper introduces DCoVaR for aggregate risk models, outperforming existing methods.

problem Lack of coherent risk measures for aggregate risk models.
method Proposes Dependent Conditional Value-at-Risk (DCoVaR) for a target loss dependent on another random loss.
result DCoVaR outperforms MCoVaR and CCoVaR in numerical simulations and empirical studies.
Risk ManagementValue-at-RiskConditional Value-at-RiskCoherent Risk MeasureAggregate Risk
2020-09-07abs ↗pdf ↗